Anvesh Arrabochu iamanvesh
iamanvesh
/ build_continuous_data.py
Last active
October 7, 2020 07:57
Quick and dirty way to build a continuous contract from monthly contracts that can be used to back-test. Rollover to the new contract at the given expiry hour/minute in your backtest.
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| import os | |
| import csv | |
| import pandas as pd | |
| from datetime import datetime | |
| months = { | |
| 'JAN': 1, | |
| 'FEB': 2, | |
| 'MAR': 3, |
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| " Indent automatically depending on filetype | |
| filetype indent on | |
| set autoindent | |
| " Turn on line numbering. Turn it off with "set nonu" | |
| set number | |
| " Set syntax on | |
| syntax on |